The Architecture of Market Depth: How Liquidity Really Works in Crypto Markets [Report]

This analysis examines 50,526 minutes of orderbook data from Binance’s BTC/FDUSD market between July 1 and August 12, 2025, captured via Amberdata’s institutional metrics. The dataset tracks market depth at 5, 10, 25, 50, and 100 basis points from mid-price, revealing how liquidity accumulates non-linearly and how bid-ask imbalances distribute across price levels. This research quantifies the structural patterns of electronic market depth to inform institutional execution strategies.

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